Beverly Davis notes in her 186-page historical development of the horse published by Sino-Platonic Papers in 2007 that the “Three Wise Men” who visit baby Jesus “are Magi, an Iranian word” which may be why, according to Davis, in religious arts depicting the Magi such as the one here by Raphael, “Renaissance horses resemble the ancient Persian breed.”

[pic source Wikimedia:  “The Adoration of the Magi” by Raphael (1502-04)…for educational purposes only]